The mean square error of a randomly discounted sequence of uncertain payments

Piet de Jong*

*Corresponding author for this work

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Expressions are developed for the mean square deviation between a discounted sequence of uncertain payments and the estimated present value. These formulas incorporate random variation from four sources: (1) from the fact that expected values of individual payments are estimated, (2) from the fact that future discount factors are estimated, (3) random variation in the events that give rise to future payments, and (4) random variation in future discount rates. The results extend and encompass existing expressions based on the assumed constancy of one or more of the random vectors.

Original languageEnglish
Pages (from-to)173-178
Number of pages6
JournalInsurance: Mathematics and Economics
Volume3
Issue number3
DOIs
Publication statusPublished - 1984
Externally publishedYes

Fingerprint Dive into the research topics of 'The mean square error of a randomly discounted sequence of uncertain payments'. Together they form a unique fingerprint.

Cite this